|
Archivo Abierto Institucional de la Universidad Carlos III de Madrid >
Investigación >
Departamentos >
Departamento de Economía >
DE - Artículos de Revistas >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/2425
|
| Title: | Optimal Spectral Bandwidth for Long Memory |
| Author(s): | Delgado, Miguel A. [delgado]
Robinson, Peter M. |
| Publisher: | International Chinese Statistical Association |
| Issued date: | 1996 |
| Citation: | Statistica Sinica. 1996, vol. 6, nº 1, p. 97-112 |
| URI: | http://hdl.handle.net/10016/2425 |
| ISSN: | 1017-0405 |
| Abstract: | For long range dependent time series with a spectral singularity at frequency zero, a theory for optimal bandwidth choice in non-parametric analysis of the singularity was developed by Robinson (1994a). In the present paper, the optimal bandwidths are compared with those in case of a smooth spectrum. They are also analysed in case of fractional ARIMA models and calculated as a function of the self similarity parameter in some special cases. Feasible data-dependent approximations to the optimal bandwidth are proposed. We also include some applications using real data |
| Review: | PeerReviewed |
| Publisher version: | http://www3.stat.sinica.edu.tw/statistica/j6n1/j6n16/j6n16.htm |
| Keywords: | long range dependece
spectrum
self simirality parametri
semiparametric stimation
optimal bandwidth choice
ARFIMA models |
| Appears in Collections: | DE - Artículos de Revistas
Economists Online
|
Items in E-Archivo are protected by copyright, with all rights reserved, unless otherwise indicated.
|
